| |
|
|
|
|
|
|
Abstract
Exploring Alternative Hedging Strategies for Options: A Comparative Analysis of Static and Dynamic Approaches
By Shashi Jain
Indian Institute of Science, Bangalore
|
Abstract
The prevalent method of managing market risk for options, dynamic hedging, encounters limitations during sharp market movements or periods of market illiquidity. This presentation explores alternative approaches: static and semi-static hedging strategies for options featuring early exercise. The discussion commences by examining Carr and Wu's semi-static hedging framework, subsequently delving into an extension that offers increased flexibility in selecting short maturity options for hedging purposes. Furthermore, an investigation into a neural network-based approach for static hedging of early exercise options is presented. Finally, empirical performance comparison between a LASSO-based static hedge and the conventional dynamic hedging strategy is discussed, shedding light on their respective efficiencies in risk management.
|
Committee
Workshop
Conference
Student Paper
Key Dates
Communication
StatFin Main Webpage